I found the following text in the paper "Real-time Price Discovery in Foreign Exchange"
The general pattern is one of very quick exchange rate conditional mean adjustment, characterized by a jump immediately following the announcement, and little movement thereafter. Favorable U.S. “growth news” tends to produce dollar appreciation, and conversely. [...] [A] one standard deviation U.S. payroll employment surprise tends to appreciate (if positive) or depreciate (if negative) the dollar against the DM by 0.16 %.17 This is a sizeable move [...]
implying that this news are only available to the market once the announcement is made by the US authorities. Other similar announcements are considered: Retail Sales, Industrial Production, Consumer Credit, etc.
I am having trouble to understand why this is an acceptable explanation. From my point of view, the markets must "feel" the increase (decrease) and adjust accordingly before the announcement. Any price change after an announcement seem as irrational or herding behavior to me. On the other hand, I can think of examples in which a real surprise causes movements in the market: changes in Central Bank policy, social unrest, accidents, etc.
Am I missing something?